Strategy Optimizer Gamma Strangle

The Strategy Optimizer™

Strategy Optimizer™ (“SO”)is a software application embedded within the FX Bridge platform, ProTrader Plus. SO finds the highest returning combination and quantity of (vanilla European) options given one or more selected option trading strategies. The inputs are:

  1. Current market price of underlying asset.
  2. Target market price of underlying asset.
  3. Time horizon for the expected price change to occur.
  4. The amount of risk capital allocated to the trade.
  5. One or more selected option strategies (e.g, bull call spread, bear calendar spread, long strangle, short straddle, etc.)

SO tests every combination of options within one or more trading strategies to arrive at that combination and quantity of options which, for a fixed dollar amount of risk, will yield the highest ROI at expiration. Once the tool has displayed the resulting optimal strategies, the user can view a resulting strategy’s performance metrics as plotted against a range of underlying values for a series of time lines or the same data in a chart. A built-in guide displays a description of the available strategies, its use in trending or volatile marketplaces, and a graphic of the strategy’s relative value as plotted on a range of underlying values.